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Sourcecode: quantlib version File versions

blackmodel.hpp File Reference


Detailed Description

Black formula and associated functions.

Definition in file blackmodel.hpp.

#include <ql/option.hpp>
#include <ql/Math/normaldistribution.hpp>

Go to the source code of this file.

Namespaces

namespace  QuantLib
namespace  QuantLib::detail

Functions

Real QuantLib::detail::blackFormula (Real forward, Real strike, Real stdDev, Option::Type optionType)
Real QuantLib::blackFormula (Option::Type optionType, Real strike, Real forward, Real stdDev)
Real QuantLib::blackImpliedStdDev (Option::Type optionType, Real strike, Real forward, Real blackPrice, Real guess, Real accuracy)
Real QuantLib::blackImpliedStdDevApproximation (Option::Type optionType, Real strike, Real forward, Real blackPrice)
Real QuantLib::blackItmProbability (Option::Type optionType, Real strike, Real forward, Real stdDev)
Real QuantLib::detail::itmBlackProbability (Real forward, Real strike, Real stdDev, Option::Type optionType)


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